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Positive Portfolio Factors
Brown, Stephen J. - 1998
We use an iterative relocation algorithm to identify factors in common stock returns. The benefit of the approach is that factors are portfolios of assets with non-negative weights. As a result, they are readily interpreted in terms of their characteristics of the underlying securities. The...
Persistent link: https://www.econbiz.de/10012472396
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Pairs Trading : Performance of a Relative Value Arbitrage Rule
Gatev, Evan G. - 1999
We test a Wall Street investment strategy known as pairs trading' with daily data over the period 1962 through 1997. Stocks are matched into pairs according to minimum distance in historical normalized price space. We test the profitability of several trading rules with six-month trading periods...
Persistent link: https://www.econbiz.de/10012471768
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British Investment Overseas 1870-1913 : A Modern Portfolio Theory Approach
Goetzmann, William N. - 2005
whether this export of capital had negative effects. We re-visit the issue using modern portfolio theory. We examine the set … advances in financial and investment theory at the time. We use mean-variance optimization techniques ot take into account the … risk and return characteristics of domestic and international investments available to a British investor, and to quantify …
Persistent link: https://www.econbiz.de/10012467419
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Portfolio Diversification and City Agglomeration
Goetzmann, William N. - 2004
-tradable risk. We find little evidence to support social and hedging motives to explain the lack of portfolio diversification, and …
Persistent link: https://www.econbiz.de/10012468350
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Equity Portfolio Diversification
Goetzmann, William N. - 2001
likelihood we have selected on speculators, the magnitude of the diosyncratic risk taken by investors in our sample is surprising …
Persistent link: https://www.econbiz.de/10012470029
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Long-Term Global Market Correlations
Goetzmann, William N. - 2001
markets. For other periods, such as the two decades following World War II, risk reduction is due to low correlations among …
Persistent link: https://www.econbiz.de/10012470104
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Hedge Funds With Style
Brown, Stephen J. - 2001
The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long-short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their...
Persistent link: https://www.econbiz.de/10012470553
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Emotions and Subjective Crash Beliefs
Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2024
location to test how news of unusual exogenous shocks affects crash belief formation. The results are consistent the risk …
Persistent link: https://www.econbiz.de/10014576618
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Crash Narratives
Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2022
The financial press is a conduit for popular narratives that reflect collective memory about historical events. Some collective memories relate to major stock market crashes, and investors may rely on associated narratives, or "crash narratives," to inform current beliefs and choices. Using...
Persistent link: https://www.econbiz.de/10013334413